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Generalized autoregressive conditional heteroskedasticity

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Cited by:

  1. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
  2. Alethea Rea & William Rea & Marco Reale & Carl Scarrott, 2012. "A comparison of Spillover Effects before, during and after the 2008 Financial Crisis," Working Papers in Economics 12/03, University of Canterbury, Department of Economics and Finance.
  3. Oberndorfer, Ulrich, 2008. "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers 08-059, ZEW - Leibniz Centre for European Economic Research.
  4. Madhusudan Karmakar, 2007. "Asymmetric Volatility and Risk-return Relationship in the Indian Stock Market," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 8(1), pages 99-116, January.
  5. Seiler, Volker, 2024. "The relationship between Chinese and FOB prices of rare earth elements – Evidence in the time and frequency domain," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 160-179.
  6. Leopoldo Catania & Nima Nonejad, 2016. "Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models," Papers 1605.00230, arXiv.org, revised Nov 2016.
  7. Marobhe, Mutaju Isaack & Kansheba, Jonathan Mukiza, 2024. "Airlines and climate policy uncertainty: Are the sector's stocks soaring or stalling?," Journal of Air Transport Management, Elsevier, vol. 115(C).
  8. Krebs, Tom, 1997. "Statistical Equilibrium in One-Step Forward Looking Economic Models," Journal of Economic Theory, Elsevier, vol. 73(2), pages 365-394, April.
  9. Burak Saltoglu, 2003. "Comparing forecasting ability of parametric and non-parametric methods: an application with Canadian monthly interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 169-176.
  10. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
  11. Mario Bonino & Matteo Camelia & Paolo Pigato, 2014. "A multivariate model for financial indices and an algorithm for detection of jumps in the volatility," Papers 1404.7632, arXiv.org, revised Dec 2016.
  12. Chia-Lin Chang & Michael Mcaleer, 2012. "Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates," The Japanese Economic Review, Japanese Economic Association, vol. 63(3), pages 397-419, September.
  13. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
  14. Chang, C-L. & McAleer, M.J. & Tansuchat, R., 2010. "Analyzing and Forecasting Volatility Spillovers and Asymmetries in Major Crude Oil Spot, Forward and Futures Markets," Econometric Institute Research Papers EI 2010-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  15. Takaishi, Tetsuya, 2018. "Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 139-154.
  16. José Eduardo Medina Reyes & Agustín Ignacio Cabrera Llanos & Salvador Cruz Aké, 2023. "Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 18(3), pages 1-22, Julio - S.
  17. Camilo Serrano & Martin Hoesli, 2010. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 170-192, August.
  18. Jose A. Lopez & Christian Walter, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York.
  19. Yaya, OlaOluwa & Ogbonna, Ahamuefula, 2018. "Modelling crude oil-petroleum products’ price nexus using dynamic conditional correlation GARCH models," MPRA Paper 91227, University Library of Munich, Germany.
  20. Beran, Jan & Feng, Yuanhua, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Papers 99/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
  21. Marimoutou, Vêlayoudom & Soury, Manel, 2015. "Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model," Energy, Elsevier, vol. 88(C), pages 417-429.
  22. Corbet, Shaen & Larkin, Charles & McMullan, Caroline, 2020. "The impact of industrial incidents on stock market volatility," Research in International Business and Finance, Elsevier, vol. 52(C).
  23. Jonathan P. O'Brien & Timothy B. Folta, 2009. "A transaction cost perspective on why, how, and when cash impacts firm performance," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(7), pages 465-479.
  24. Alberto Humala & Gabriel Rodriguez, 2013. "Some stylized facts of return in the foreign exchange and stock markets in Peru," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 30(2), pages 139-158, May.
  25. Pål Boug & Andreas Fagereng, 2010. "Exchange rate volatility and export performance: a cointegrated VAR approach," Applied Economics, Taylor & Francis Journals, vol. 42(7), pages 851-864.
  26. Xuedi Li & Jie Ma & Zhu Chen & Haitao Zheng, 2018. "Linkage Analysis among China’s Seven Emissions Trading Scheme Pilots," Sustainability, MDPI, vol. 10(10), pages 1-13, September.
  27. Hu, John Wei-Shan & Chen, Mei-Yuan & Fok, Robert C. W. & Huang, Bwo-Nung, 1997. "Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 351-367, December.
  28. Angelica Gianfreda, 2010. "Volatility and Volume Effects in European Electricity Spot Markets," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 47-63, February.
  29. Blanka Škrabić Perić & Petar Sorić, 2018. "A Note on the “Economic Policy Uncertainty Index”," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 137(2), pages 505-526, June.
  30. LINTON, Olivier & PERRON, Benoît, 1999. "The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model," Cahiers de recherche 9911, Universite de Montreal, Departement de sciences economiques.
  31. Dankenbring, Henning, 1998. "Volatility estimates of the short term interest rate with an application to German data," SFB 373 Discussion Papers 1998,96, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  32. Li, Liuling & Mizrach, Bruce, 2010. "Tail return analysis of Bear Stearns' credit default swaps," Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
  33. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  34. Valeriy Gavrishchaka & Supriya Banerjee, 2006. "Support Vector Machine as an Efficient Framework for Stock Market Volatility Forecasting," Computational Management Science, Springer, vol. 3(2), pages 147-160, April.
  35. David McMillan & Mark Wohar, 2011. "Structural breaks in volatility: the case of UK sector returns," Applied Financial Economics, Taylor & Francis Journals, vol. 21(15), pages 1079-1093.
  36. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2022. "On the volatility of cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 62(C).
  37. Minot, Nicholas, 2014. "Food price volatility in sub-Saharan Africa: Has it really increased?," Food Policy, Elsevier, vol. 45(C), pages 45-56.
  38. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  39. P., Srinivasan & M., Kalaivani, 2013. "Day-of-the-Week Effects in the Indian stock market," MPRA Paper 46805, University Library of Munich, Germany.
  40. Umar, Muhammad & Mirza, Nawazish & Rizvi, Syed Kumail Abbas & Furqan, Mehreen, 2023. "Asymmetric volatility structure of equity returns: Evidence from an emerging market," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 330-336.
  41. Kulikova, Maria V. & Taylor, David R. & Kulikov, Gennady Yu., 2024. "Evolving efficiency of the BRICS markets," Economic Systems, Elsevier, vol. 48(1).
  42. Liesenfeld, Roman, 1997. "Trading volume and the short and long-run components of volatility," Tübinger Diskussionsbeiträge 102, University of Tübingen, School of Business and Economics.
  43. Eyden Samunderu & Yvonne T. Murahwa, 2021. "Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach," JRFM, MDPI, vol. 14(11), pages 1-48, November.
  44. Raymond Kan & Cesare Robotti, 2016. "The Exact Distribution of the Hansen–Jagannathan Bound," Management Science, INFORMS, vol. 62(7), pages 1915-1943, July.
  45. Arif Oduncu, 2011. "The Effects of Currency Futures Trading on Turkish Currency Market," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 5(1), pages 97-109.
  46. Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
  47. Lahmiri, Salim & Bekiros, Stelios, 2017. "Disturbances and complexity in volatility time series," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 38-42.
  48. OlaOluwa S. Yaya & Ahamuefula E. Ogbonna & Robert Mudida & Nuruddeen Abu, 2021. "Market efficiency and volatility persistence of cryptocurrency during pre‐ and post‐crash periods of Bitcoin: Evidence based on fractional integration," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1318-1335, January.
  49. Slah Bahloul & Fathi Abid, 2012. "Regime-Switching Behavior in the Conditional Volatility of MENA Stock Market Returns," Working Papers 683, Economic Research Forum, revised 2012.
  50. Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," China Economic Review, Elsevier, vol. 34(C), pages 207-224.
  51. Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
  52. Naseem, N.A.M & Tan, Hui-Boon & Hamizah, M.S, 2008. "Exchange Rate Misalignment, Volatility and Import Flows in Malaysia," MPRA Paper 41571, University Library of Munich, Germany.
  53. Thushari N. Vidanage & Fabrizio Carmignani & Tarlok Singh, 2017. "Predictability of Return Volatility Across Different Emerging Capital Markets: Evidence from Asia," South Asian Journal of Macroeconomics and Public Finance, , vol. 6(2), pages 157-177, December.
  54. Baviera, Roberto & Pasquini, Michele & Serva, Maurizio & Vergni, Davide & Vulpiani, Angelo, 2001. "Correlations and multi-affinity in high frequency financial datasets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 551-557.
  55. Yue Fang & John Zhang, 1999. "Performance of control charts for autoregressive conditional heteroscedastic processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(6), pages 701-714.
  56. Ball, Clifford A. & Torous, Walter N., 2000. "Stochastic correlation across international stock markets," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 373-388, November.
  57. Elyasiani, Elyas & Mansur, Iqbal & Pagano, Michael S., 2007. "Convergence and risk-return linkages across financial service firms," Journal of Banking & Finance, Elsevier, vol. 31(4), pages 1167-1190, April.
  58. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
  59. Gannon, Gerard L. & Choi, Daniel F. S., 1998. "Structural models: Intra/Inter-day volatility transmission and spillover persistence of the HSI, HSIF and S&P500 futures," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 19-36.
  60. Okorie, David Iheke & Lin, Boqiang, 2022. "Givers never lack: Nigerian oil & gas asymmetric network analyses," Energy Economics, Elsevier, vol. 108(C).
  61. Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
  62. Egelkraut, Thorsten M. & Garcia, Philip, 2006. "Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(3), pages 1-21, December.
  63. Hao Chen & Qiulan Wan & Yurong Wang, 2014. "Refined Diebold-Mariano Test Methods for the Evaluation of Wind Power Forecasting Models," Energies, MDPI, vol. 7(7), pages 1-14, July.
  64. Emmanuel Kumi & Muazu Ibrahim & Thomas Yeboah, 2017. "Aid, Aid Volatility and Sectoral Growth in Sub-Saharan Africa: Does Finance Matter?," Journal of African Business, Taylor & Francis Journals, vol. 18(4), pages 435-456, October.
  65. Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
  66. Felix Chan & Dora Marinova & Michael McAleer, 2004. "Modelling the asymmetric volatility of anti-pollution patents in the USA," Scientometrics, Springer;Akadémiai Kiadó, vol. 59(2), pages 179-197, February.
  67. M. Angeles Carnero & Siem Jan Koopman & Marius Ooms, 2003. "Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 03-071/4, Tinbergen Institute.
  68. Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series 101, National Centre for Econometric Research.
  69. Antonio Ruiz-Porras & Javier Emmanuel Anguiano Pita, 2016. "Modelación de las dinámicas, volatilidades e interrelaciones de los rendimientos del petróleo mexicano, BRENT y WTI," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 175-194, November.
  70. Ahmed, Mansur & Goodwin, Barry, 2015. "Copula-Based Modeling of Dependence Structure among International Food Grain Markets," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 206059, Agricultural and Applied Economics Association.
  71. Robin L. Lumsdaine & Eswar S. Prasad, 2003. "Identifying the Common Component of International Economic Fluctuations: A New Approach," Economic Journal, Royal Economic Society, vol. 113(484), pages 101-127, January.
  72. Khelifa Mazouz & Michael Bowe, 2009. "Does options listing impact on the time-varying risk characteristics of the underlying stocks? Evidence from NYSE stocks listed on the CBOE," Applied Financial Economics, Taylor & Francis Journals, vol. 19(3), pages 203-212.
  73. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
  74. E. Ruiz & M.A. Carnero & D. Pereira, 2004. "Effects of Level Outliers on the Identification and Estimation of GARCH Models," Econometric Society 2004 Australasian Meetings 21, Econometric Society.
  75. Memmel, Christoph & Wehn, Carsten, 2005. "The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation," Discussion Paper Series 2: Banking and Financial Studies 2005,02, Deutsche Bundesbank.
  76. Kliber Agata, 2016. "Impact Of The Ban On Uncovered SCDS Trade On the Interdependencies Between The CDS Market And Other Sectors Of Financial Markets. The Case Of Safe And Developed Versus Risky And Developing European Ma," Comparative Economic Research, Sciendo, vol. 19(1), pages 77-99, March.
  77. Nijman, Theo & Sentana, Enrique, 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
  78. Richard Copp & Michael L. Kremmer & Eduardo Roca, 2010. "Should funds invest in socially responsible investments during downturns?," Accounting Research Journal, Emerald Group Publishing Limited, vol. 23(3), pages 254-266, November.
  79. Tomanova, Lucie, 2013. "Exchange Rate Volatility and the Foreign Trade in CEEC," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 267, Ekonomik Yaklasim Association.
  80. Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011. "Risk management of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
  81. Gürtler, Marc & Rauh, Ronald, 2012. "Challenging traditional risk models by a non-stationary approach with nonparametric heteroscedasticity," Working Papers IF41V1, Technische Universität Braunschweig, Institute of Finance.
  82. Kenourgios, Dimitris & Naifar, Nader & Dimitriou, Dimitrios, 2016. "Islamic financial markets and global crises: Contagion or decoupling?," Economic Modelling, Elsevier, vol. 57(C), pages 36-46.
  83. Meister, Alexander & Kreiß, Jens-Peter, 2016. "Statistical inference for nonparametric GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 126(10), pages 3009-3040.
  84. Kulp-Tåg, Sofie, 2007. "An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions," Working Papers 526, Hanken School of Economics.
  85. Chang, C-L. & McAleer, M.J., 2017. "The Fiction of Full BEKK," Econometric Institute Research Papers TI 2017-015/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  86. Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & Maasoumi, Esfandiar & McAleer, Michael & Pérez-Amaral, Teodosio, 2019. "Choosing expected shortfall over VaR in Basel III using stochastic dominance," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 95-113.
  87. Mawuli Segnon & Rangan Gupta & Keagile Lesame & Mark E. Wohar, 2021. "High-Frequency Volatility Forecasting of US Housing Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 62(2), pages 283-317, February.
  88. Chi-Wei Su & Hui Yu & Hsu-Ling Chang & Xiao-Lin Li, 2017. "How does inflation determine inflation uncertainty? A Chinese perspective," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(3), pages 1417-1434, May.
  89. Nguyen Van, Phuong, 2015. "A good news or bad news has greater impact on the Vietnamese stock market?," MPRA Paper 61194, University Library of Munich, Germany.
  90. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 537-572.
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  92. Fryzlewicz, Piotr & Sapatinas, Theofanis & Subba Rao, Suhasini, 2008. "Normalized least-squares estimation in time-varying ARCH models," LSE Research Online Documents on Economics 25187, London School of Economics and Political Science, LSE Library.
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  95. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  96. Varma, Jayanth R., 1999. "Rupee-Dollar Option Pricing and Risk Measurement: Jump Processes, Changing Volatility and Kurtosis Shifts," IIMA Working Papers WP1999-04-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
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  98. Javier Sánchez García & Salvador Cruz Rambaud, 2022. "A GARCH approach to model short‐term interest rates: Evidence from Spanish economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1621-1632, April.
  99. Silvennoinen, Annastiina & Teräsvirta, Timo, 2024. "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model," Econometrics and Statistics, Elsevier, vol. 32(C), pages 57-72.
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  118. Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 307-329.
  119. Annastiina Silvennoinen & Timo Teräsvirta, 2009. "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
  120. Gruener Hans Peter & Hayo Bernd & Hefeker Carsten, 2009. "Unions, Wage Setting and Monetary Policy Uncertainty," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-25, October.
  121. Saidi, Youssef & Zakoian, Jean-Michel, 2006. "Stationarity and geometric ergodicity of a class of nonlinear ARCH models," MPRA Paper 61988, University Library of Munich, Germany, revised 2006.
  122. Boussama, Farid & Fuchs, Florian & Stelzer, Robert, 2011. "Stationarity and geometric ergodicity of BEKK multivariate GARCH models," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2331-2360, October.
  123. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
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  6752. Hong Qiu & Genhua Hu & Yuhong Yang & Jeffrey Zhang & Ting Zhang, 2020. "Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets," Sustainability, MDPI, vol. 12(19), pages 1-15, September.
  6753. Wang, Xuetong & Fang, Fang & Ma, Shiqun & Xiang, Lijin & Xiao, Zumian, 2024. "Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
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  6915. Laura Arenas & Ana Maria Gil-Lafuente, 2021. "Regime Switching in High-Tech ETFs: Idiosyncratic Volatility and Return," Mathematics, MDPI, vol. 9(7), pages 1-25, March.
  6916. Aktas, Nihat & de Bodt, Eric & Cousin, Jean-Gabriel, 2007. "Event studies with a contaminated estimation period," Journal of Corporate Finance, Elsevier, vol. 13(1), pages 129-145, March.
  6917. Das, Sudipta, 2015. "Empirical evidence of conditional asset pricing in the Indian stock market," Economic Systems, Elsevier, vol. 39(2), pages 225-239.
  6918. Daniel Poh & Bryan Lim & Stefan Zohren & Stephen Roberts, 2020. "Building Cross-Sectional Systematic Strategies By Learning to Rank," Papers 2012.07149, arXiv.org.
  6919. Tom A. FEARNLEY, 2002. "Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds," FAME Research Paper Series rp95, International Center for Financial Asset Management and Engineering.
  6920. Hu, Yan & Ni, Jian & Wen, Liu, 2020. "A hybrid deep learning approach by integrating LSTM-ANN networks with GARCH model for copper price volatility prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  6921. St'ephane Chr'etien & Juan-Pablo Ortega, 2011. "Multivariate GARCH estimation via a Bregman-proximal trust-region method," Papers 1101.5475, arXiv.org.
  6922. Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 0243, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  6923. Ming Ma & Jing Zhang, 2023. "RETRACTED ARTICLE: A Bayesian analysis based on multivariate stochastic volatility model: evidence from green stocks," Journal of Combinatorial Optimization, Springer, vol. 45(1), pages 1-14, January.
  6924. Jin, Hyun Joung, 2008. "A Long Memory Conditional Variance Model for International Grain Markets," Journal of Rural Development/Nongchon-Gyeongje, Korea Rural Economic Institute, vol. 31(2), pages 1-23, May.
  6925. Wagner Barreto‐Souza & Hernando Ombao, 2022. "The negative binomial process: A tractable model with composite likelihood‐based inference," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 568-592, June.
  6926. Aki-Hiro Sato & Hideki Takayasu, 2001. "Derivation of ARCH(1) process from market price changes based on deterministic microscopic multi-agent," Papers cond-mat/0104313, arXiv.org.
  6927. Martín Saldías & Rafael Barbosa, 2013. "Option trade volume and volatility of banks’ stock returns," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  6928. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
  6929. Tinkl, Fabian, 2010. "Asymptotic theory for M estimators for martingale differences with applications to GARCH models," FAU Discussion Papers in Economics 09/2010, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  6930. Gao, Lei & Kling, Gerhard, 2006. "Regulatory changes and market liquidity in Chinese stock markets," Emerging Markets Review, Elsevier, vol. 7(2), pages 162-175, June.
  6931. Guermat, Cherif & Harris, Richard D. F., 2002. "Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns," International Journal of Forecasting, Elsevier, vol. 18(3), pages 409-419.
  6932. Sang Hoon Kang & SEONG-MIN YOON, 2008. "Asymmetry and Long Memory Features in Volatility: Evidence From Korean Stock Market," Korean Economic Review, Korean Economic Association, vol. 24, pages 383-412.
  6933. Benavides, Guillermo, 2009. "Predictive Accuracy of Futures Options Implied Volatility: the Case of the Exchange Rate Futures Mexican Peso-Us Dollar," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(09), pages 55-95, segundo s.
  6934. Charles S. Bos & Siem Jan Koopman, 2010. "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers 10-017/4, Tinbergen Institute.
  6935. Xu Wang & Jia-Yu Zhong & Zi-Yu Li, 2017. "Construction of Quantitative Transaction Strategy Based on LASSO and Neural Network," Applied Economics and Finance, Redfame publishing, vol. 4(4), pages 134-144, July.
  6936. Good, Darrel L. & Irwin, Scott H. & Isengildina, Olga, 2006. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(2), pages 1-21, August.
  6937. Clements, Sherwood & Tidwell, Alan & Jin, Changha, 2017. "Futures markets and real estate public equity: Connectivity of lumber futures and Timber REITs," Journal of Forest Economics, Elsevier, vol. 28(C), pages 70-79.
  6938. Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.
  6939. Dacorogna, Michel M. & Gençay, Ramazan & Müller, Ulrich A. & Pictet, Olivier V., 2001. "Effective return, risk aversion and drawdowns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 289(1), pages 229-248.
  6940. Hwang, S. Y. & Kim, Tae Yoon, 2004. "Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure," Stochastic Processes and their Applications, Elsevier, vol. 110(2), pages 295-314, April.
  6941. Alessandra Amendola & Giuseppe Storti, 2002. "A non-linear time series approach to modelling asymmetry in stock market indexes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 11(2), pages 201-216, June.
  6942. Hassan, Syed Aun & Malik, Farooq, 2007. "Multivariate GARCH modeling of sector volatility transmission," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 470-480, July.
  6943. Pan, Qunxing & Mei, Xiaowen & Gao, Tianqing, 2022. "Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  6944. Shuangzhe Liu & Chris Heyde & Wing-Keung Wong, 2011. "Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models," Statistical Papers, Springer, vol. 52(3), pages 621-632, August.
  6945. A. Khalifa & S. Hammoudeh & E. Otranto & S. Ramchander, 2012. "Volatility Transmission across Currency, Commodity and Equity Markets under Multi-Chain Regime Switching: Implications for Hedging and Portfolio Allocation," Working Paper CRENoS 201214, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  6946. Jorge V Pérez-Rodríguez & María Santana-Gallego, 2020. "Modelling tourism receipts and associated risks, using long-range dependence models," Tourism Economics, , vol. 26(1), pages 70-96, February.
  6947. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.
  6948. Miloslav Vošvrda & Filip Žikeš, 2004. "An Application of the Garch-t Model on Central European Stock Returns," Prague Economic Papers, Prague University of Economics and Business, vol. 2004(1), pages 26-39.
  6949. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2018. "Dynamic Dependence and Diversification in Corporate Credit [Asymmetric correlations of equity portfolios]," Review of Finance, European Finance Association, vol. 22(2), pages 521-560.
  6950. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
  6951. Chen, Yan & Yu, Wenqiang, 2020. "Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 544(C).
  6952. Sucarrat, Genaro, 2010. "The power log-GARCH model," UC3M Working papers. Economics we1013, Universidad Carlos III de Madrid. Departamento de Economía.
  6953. Wang, Jiazhen & Jiang, Yuexiang & Zhu, Yanjian & Yu, Jing, 2020. "Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S," Economic Modelling, Elsevier, vol. 91(C), pages 428-444.
  6954. Souhir Ben Amor & Heni Boubaker & Lotfi Belkacem, 2022. "A Dual Generalized Long Memory Modelling for Forecasting Electricity Spot Price: Neural Network and Wavelet Estimate," Papers 2204.08289, arXiv.org.
  6955. Anthony D. Hall & Annastiina Silvennoinen & Timo Teräsvirta, 2021. "Four Australian Banks and the Multivariate Time-Varying Smooth Transition Correlation GARCH model," CREATES Research Papers 2021-13, Department of Economics and Business Economics, Aarhus University.
  6956. Joseph de Vilmarest & Nicklas Werge, 2023. "An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition," Papers 2303.01855, arXiv.org, revised Jun 2024.
  6957. Zhu, Qianqian & Zheng, Yao & Li, Guodong, 2018. "Linear double autoregression," Journal of Econometrics, Elsevier, vol. 207(1), pages 162-174.
  6958. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  6959. Tiwari, Aviral Kumar & Sahadudheen, I., 2015. "Understanding the nexus between oil and gold," Resources Policy, Elsevier, vol. 46(P2), pages 85-91.
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  6961. Song, Wenjuan & Sun, Lixin, 2014. "The Measurement of the Long-Term and Short-Term Risks of Chinese Listed Banks," MPRA Paper 70007, University Library of Munich, Germany, revised Jul 2014.
  6962. Frezza, Massimiliano, 2014. "Goodness of fit assessment for a fractal model of stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 66(C), pages 41-50.
  6963. Nikolaos A. Kyriazis, 2021. "Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 845-861, December.
  6964. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
  6965. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, October.
  6966. Waldemar Tarczyński & Sebastian Majewski & Małgorzata Tarczyńska-Łuniewska & Agnieszka Majewska & Grzegorz Mentel, 2021. "The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange," Energies, MDPI, vol. 14(6), pages 1-14, March.
  6967. Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
  6968. Suzuki, Tomoya & Ikeguchi, Tohru & Suzuki, Masuo, 2004. "A model of complex behavior of interbank exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 196-218.
  6969. repec:ipg:wpaper:2014-405 is not listed on IDEAS
  6970. Agie Wandala Putra & Jatna Supriatna & Raldi Hendro Koestoer & Tri Edhi Budhi Soesilo, 2021. "Differences in Local Rice Price Volatility, Climate, and Macroeconomic Determinants in the Indonesian Market," Sustainability, MDPI, vol. 13(8), pages 1-21, April.
  6971. Chen, Shyh-Wei & Shen, Chung-Hua & Xie, Zixiong, 2008. "Evidence of a nonlinear relationship between inflation and inflation uncertainty: The case of the four little dragons," Journal of Policy Modeling, Elsevier, vol. 30(2), pages 363-376.
  6972. Metiu, Norbert, 2012. "Sovereign risk contagion in the Eurozone," Economics Letters, Elsevier, vol. 117(1), pages 35-38.
  6973. Pablo Cansado-Bravo & Carlos Rodríguez-Monroy, 2018. "Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices," Energies, MDPI, vol. 11(12), pages 1-17, December.
  6974. Mora Galán, Alberto & Pérez, Ana, 2004. "Stochastic volatility models and the Taylor effect," DES - Working Papers. Statistics and Econometrics. WS ws046315, Universidad Carlos III de Madrid. Departamento de Estadística.
  6975. Giuseppe De Arcangelis & Cristina Pensa, 1997. "Exchange-Rate Volatility, Exchange-Rate Pass-Through and International Trade," Working Papers 43, Sapienza University of Rome, CIDEI.
  6976. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
  6977. Ahmad Yamin S & Paya Ivan, 2020. "Temporal aggregation of random walk processes and implications for economic analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
  6978. Petrică Andreea-Cristina & Stancu Stelian, 2017. "The determinants of exchange rates and the movements of EUR/RON exchange rate via non-linear stochastic processes," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 11(1), pages 937-948, July.
  6979. Chan, J.S.K. & Lam, C.P.Y. & Yu, P.L.H. & Choy, S.T.B. & Chen, C.W.S., 2012. "A Bayesian conditional autoregressive geometric process model for range data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3006-3019.
  6980. Raúl de Jesús Gutiérrez & Edgar Ortiz & Oswaldo García Salgado, 2017. "Los efectos de largo plazo de la asimetría y persistencia en la predicción de la volatilidad: evidencia para mercados accionarios de América Latina," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1063-1080, Octubre-D.
  6981. Lazarczyk, Ewa, 2015. "Private and Public Information on the Nordic Intra-Day Electricity Market," Working Paper Series 1064, Research Institute of Industrial Economics.
  6982. P., Srinivasan, 2011. "Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market," MPRA Paper 47412, University Library of Munich, Germany.
  6983. Pierdzioch, Christian, 2000. "The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis," Kiel Working Papers 971, Kiel Institute for the World Economy (IfW Kiel).
  6984. Vasilios Sogiakas, 2017. "On the implementation of asymmetric VaR models for managing and forecasting market risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(6), pages 1-2.
  6985. Pazouki, Azadeh & Zhu, Xiaoxian, 2022. "The dynamic impact among oil dependence volatility, the quality of political institutions, and government spending," Energy Economics, Elsevier, vol. 115(C).
  6986. Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2022. "Characterizing M-estimators," Papers 2208.08108, arXiv.org.
  6987. James Payne, 2009. "Official dollarization in El Salvador and the inflation-inflation uncertainty nexus," Applied Economics Letters, Taylor & Francis Journals, vol. 16(12), pages 1195-1199.
  6988. McMillan, David G. & Speight, Alan E.H. & Evans, Kevin P., 2008. "How useful is intraday data for evaluating daily Value-at-Risk?: Evidence from three Euro rates," Journal of Multinational Financial Management, Elsevier, vol. 18(5), pages 488-503, December.
  6989. Tan, Chia-Yen & Koh, You-Beng & Ng, Kok-Haur & Ng, Kooi-Huat, 2021. "Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  6990. Taner Sekmen, 2015. "Effect of the Subprime Crisis on Return and Volatility of the Turkish Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 7(3), pages 23-29.
  6991. Li, Dong & Li, Muyi & Wu, Wuqing, 2014. "On dynamics of volatilities in nonstationary GARCH models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 86-90.
  6992. Taufiq Choudhry, 2010. "Does Interest Rate Volatility Affect The Us Demand For Housing? Evidence From The Autoregressive Distributed Lag Method," Manchester School, University of Manchester, vol. 78(4), pages 326-344, July.
  6993. Steven Y. K. Wong & Jennifer S. K. Chan & Lamiae Azizi, 2024. "Quantifying neural network uncertainty under volatility clustering," Papers 2402.14476, arXiv.org, revised Sep 2024.
  6994. Giovanis, Eleftherios, 2008. "An algorithm using GARCH process , Monte-Carlo simulation and wavelets analysis for stock prediction," MPRA Paper 10674, University Library of Munich, Germany.
  6995. Naveen Musunuru, 2016. "Examining Volatility Persistence and News Asymmetry in Soybeans Futures Returns," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(4), pages 487-500, December.
  6996. Anastasios Demertzidis, 2019. "Interbank transactions on the intraday frequency: -Different market states and the effects of the financial crisis-," MAGKS Papers on Economics 201932, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  6997. Zamzagul Sultanova & Galimzhan A. Pazilov & Lyailya Baibulekova & Gulzhakhan Kassymbekova & Gulnar Lukhmanova & Gulmira Issayeva & Kundyz Myrzabekkyzy, 2024. "Comparative Analysis of the Volatility Structures of the Stock Prices of Energy Companies Traded on the Kazakhstan Stock Exchange and International Gold and Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 14(1), pages 21-30, January.
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  6999. Valdes, Rodrigo, 2017. "What drives the regional integration of agribusiness stocks? Evidence in worldwide perspective," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258265, Agricultural and Applied Economics Association.
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  7001. Saker Sabkha, 2021. "Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models," Post-Print hal-01769390, HAL.
  7002. B. Dupoyet & H. R. Fiebig & D. P. Musgrove, 2011. "Arbitrage-free Self-organizing Markets with GARCH Properties: Generating them in the Lab with a Lattice Model," Papers 1112.2379, arXiv.org.
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  7005. Ludovic Gaudard & Jeannette Gabbi & Andreas Bauder & Franco Romerio, 2016. "Long-term Uncertainty of Hydropower Revenue Due to Climate Change and Electricity Prices," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(4), pages 1325-1343, March.
  7006. Pinar Deniz & Thanasis Stengos, 2020. "Cryptocurrency Returns before and after the Introduction of Bitcoin Futures," JRFM, MDPI, vol. 13(6), pages 1-21, June.
  7007. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
  7008. Alsubaie, Abdullah & Najand, Mohammad, 2009. "Trading volume, time-varying conditional volatility, and asymmetric volatility spillover in the Saudi stock market," Journal of Multinational Financial Management, Elsevier, vol. 19(2), pages 139-159, April.
  7009. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
  7010. Cotter, John, 2000. "Volatility and the Euro: an Irish perspective," MPRA Paper 3535, University Library of Munich, Germany.
  7011. Troster, Victor & Tiwari, Aviral Kumar & Shahbaz, Muhammad & Macedo, Demian Nicolás, 2019. "Bitcoin returns and risk: A general GARCH and GAS analysis," Finance Research Letters, Elsevier, vol. 30(C), pages 187-193.
  7012. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.
  7013. Amer Ait Sidhoum & Teresa Serra, 2016. "Volatility Spillovers in the Spanish Food Marketing Chain: The Case of Tomato," Agribusiness, John Wiley & Sons, Ltd., vol. 32(1), pages 45-63, January.
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  7015. Monika Kosko & Michal Pietrzak, 2008. "Modeling Financial Time Series Volatility with Markov Switching Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 155-162.
  7016. Anderson, Hamish D. & Balli, Faruk & Godber, Cara, 2018. "The effect of macroeconomic announcements at a sectoral level in the US and European Union," Research in International Business and Finance, Elsevier, vol. 44(C), pages 256-272.
  7017. Vít Pošta, 2008. "Estimating the Dynamics of Weak Efficiency on the Prague Stock Exchange Using the Kalman Filter," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 248-260, August.
  7018. Köksal, Bülent & Orhan, Mehmet, 2012. "Market risk of developed and developing countries during the global financial crisis," MPRA Paper 37523, University Library of Munich, Germany.
  7019. Cristi Spulbar & Jatin Trivedi & Ramona Birau & Tenea Cosmin Andrei & Abdullah Ejaz, 2019. "Estimating Volatility Spillovers, Dynamic Causal Linkages And International Contagion Patterns Between Developed Stock Markets: An Empirical Case Study For Usa, Canada, France And Uk," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 44-62, June.
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  7021. Jaratin Lily & Imbarine Bujang & Abdul Aziz Karia & Mori Kogid, 2018. "Exchange rate exposure revisited in Malaysia: a tale of two measures," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 8(4), pages 409-435, December.
  7022. Liu, Chang & Chang, Chuo, 2021. "Combination of transition probability distribution and stable Lorentz distribution in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  7023. Chalabi, Yohan / Y. & Wuertz, Diethelm, 2010. "Weighted trimmed likelihood estimator for GARCH models," MPRA Paper 26536, University Library of Munich, Germany.
  7024. Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
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  7027. Smile Dube, 2019. "GARCH Modelling of Conditional Correlations and Volatility of Exchange rates in BRICS Countries," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(1), pages 1-7.
  7028. Saha, Mallika & Dutta, Kumar Debasis & Islam, MD. Shafiqul, 2020. "Explaining the nature of economic volatility based on GDP and international trade: a study on China and the United States," MPRA Paper 111482, University Library of Munich, Germany.
  7029. Bernard Njindan Iyke, 2018. "The real effect of currency misalignment on productivity growth: evidence from middle-income economies," Empirical Economics, Springer, vol. 55(4), pages 1637-1659, December.
  7030. Abasov, Muzaffar, 2018. "Analyses of the impacts of U.S. macroeconomic announcements on the stock markets of a selection of countries," MPRA Paper 104267, University Library of Munich, Germany.
  7031. Mishra, Aswini Kumar & Ghate, Kshitish, 2022. "Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches," Resources Policy, Elsevier, vol. 76(C).
  7032. Gong, Pu & Weng, Yingliang, 2016. "Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 441(C), pages 173-191.
  7033. Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.
  7034. Ilker Domac & Alfonso Mendoza, 2002. "Is there Room for Forex Interventions under Inflation Targeting Framework? Evidence from Mexico and Turkey," Discussion Papers 0206, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7035. Taylor, James W., 2004. "Volatility forecasting with smooth transition exponential smoothing," International Journal of Forecasting, Elsevier, vol. 20(2), pages 273-286.
  7036. Fatima Syed & Naimat U. Khan, 2017. "Islamic Calendar Anomalies: Evidence from Pakistan," Business & Economic Review, Institute of Management Sciences, Peshawar, Pakistan, vol. 9(3), pages 104-122, September.
  7037. Esparcia, Carlos & López, Raquel, 2024. "Performance of crypto-Forex portfolios based on intraday data," Research in International Business and Finance, Elsevier, vol. 69(C).
  7038. Matthew Ames & Gareth W. Peters & Guillaume Bagnarosa & Ioannis Kosmidis, 2014. "Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence," Papers 1406.4322, arXiv.org.
  7039. Mirjana Miletić & Siniša Miletić, 2016. "Performance of VaR in Developed and CEE Countries during the Global Financial Crisis," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 54-75, March.
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  7426. Ane, Thierry, 2006. "An analysis of the flexibility of Asymmetric Power GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1293-1311, November.
  7427. repec:jes:wpaper:y:2013:v:5:p:359-377 is not listed on IDEAS
  7428. Cerović Julija & Lipovina-Božović Milena & Vujošević Saša, 2015. "A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro," Business Systems Research, Sciendo, vol. 6(1), pages 36-55, March.
  7429. Sun, Yiguo & Stengos, Thanasis, 2006. "Semiparametric efficient adaptive estimation of asymmetric GARCH models," Journal of Econometrics, Elsevier, vol. 133(1), pages 373-386, July.
  7430. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach," Economic Modelling, Elsevier, vol. 35(C), pages 199-206.
  7431. Panagiotidis, Theodore & Pelloni, Gianluigi, 2003. "Testing for non-linearity in labour markets: the case of Germany and the UK," Journal of Policy Modeling, Elsevier, vol. 25(3), pages 275-286, April.
  7432. Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.
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